US2017076376A1PendingUtilityA1
Margin Requirement Based on Intrinsic Value of Index CDS
Assignee: CHICAGO MERCANTILE EXCHANGE INCPriority: Sep 10, 2015Filed: Sep 10, 2015Published: Mar 16, 2017
Est. expirySep 10, 2035(~9.1 yrs left)· nominal 20-yr term from priority
G06Q 40/06
42
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Claims
Abstract
A computer system may access data describing positions in a portfolio. The portfolio positions may include a position in an index credit default swap corresponding to K separate credit entities. The computer system may calculate at least one margin component based on intrinsic values of the index credit default swap at multiple times t. An intrinsic value at a time t may be represented by a sum of weighted prices, at that time t, of single name credit default swaps corresponding to the K credit entities. The computer system may also calculate data representing a margin requirement that is based at least in part on the at least one margin component and may transmit data representing the margin requirement.
Claims
exact text as granted — not AI-modified1 . A method comprising:
accessing, by a computer system, data describing positions in a portfolio, the portfolio positions including a position in an index credit default swap corresponding to K separate credit entities; calculating, by the computer system, at least one margin component based at least in part on intrinsic values of the index credit default swap at multiple times t, wherein each of the intrinsic values of the index credit default swap is represented by
Vi
(
t
)
=
∑
k
=
1
K
P
(
SN
k
,
t
)
*
w
k
,
and wherein Vi(t) is an intrinsic value of the index credit default swap at a time t, P(SN k , t) is a value at that time t for a price of a single name credit default swap corresponding to the k th credit entity of the K credit entities, and w k is a value for a weighting factor;
calculating, by the computer system, data representing a margin requirement that is based at least in part on the at least one margin component; and
transmitting, by the computer system, data representing the margin requirement.
2 . The method of claim 1 , wherein calculating the at least one margin component comprises calculating a spread risk margin component.
3 . The method of claim 2 , wherein calculating the spread risk margin component comprises calculating, for each of the multiple times t and based at least in part on the Vi(t) value for that time t, a value of a derived spread, and generating multiple scenarios using a model calibrated at least in part by the derived spread values.
4 . The method of claim 3 , wherein calculating the spread risk margin component comprises calculating an estimated value change corresponding to each of the scenarios and selecting a designated percentile value of the estimated value changes as the spread risk margin component.
5 . The method of claim 1 , wherein calculating the at least one margin component comprises calculating a jump-to-default component and a jump-to-health component.
6 . The method of claim 1 , wherein calculating data representing the margin requirement comprises calculating an interest charge component and a liquidity charge component.
7 . The method of claim 1 , further comprising confirming, by the computer system, that a member account contains sufficient funds or other value to satisfy the margin requirement.
8 . One or more non-transitory computer-readable media storing computer executable instructions that, when executed, cause a computer system to perform operations that include:
accessing data describing positions in a portfolio, the portfolio positions including a position in an index credit default swap corresponding to K separate credit entities; calculating at least one margin component based at least in part on intrinsic values of the index credit default swap at multiple times t, wherein each of the intrinsic values of the index credit default swap is represented by
Vi
(
t
)
=
∑
k
=
1
K
P
(
SN
k
,
t
)
*
w
k
,
and wherein Vi(t) is an intrinsic value of the index credit default swap at a time t, P(SN k , t) is a value at that time t for a price of a single name credit default swap corresponding to the k th credit entity of the K credit entities, and w k is a value for a weighting factor;
calculating data representing a margin requirement that is based at least in part on the at least one margin component; and
transmitting data representing the margin requirement.
9 . The one or more non-transitory computer-readable media of claim 8 , wherein calculating the at least one margin component comprises calculating a spread risk margin component.
10 . The one or more non-transitory computer-readable media of claim 9 , wherein calculating the spread risk margin component comprises calculating, for each of the multiple times t and based at least in part on the Vi(t) value for that time t, a value of a derived spread, and generating multiple scenarios using a model calibrated at least in part by the derived spread values.
11 . The one or more non-transitory computer-readable media of claim 10 , wherein calculating the spread risk margin component comprises calculating an estimated value change corresponding to each of the scenarios and selecting a designated percentile value of the estimated value changes as the spread risk margin component.
12 . The one or more non-transitory computer-readable media of claim 8 , wherein calculating the at least one margin component comprises calculating a jump-to-default component and a jump-to-health component.
13 . The one or more non-transitory computer-readable media of claim 8 , wherein calculating data representing the margin requirement comprises calculating an interest charge component and a liquidity charge component.
14 . The one or more non-transitory computer-readable media of claim 8 , wherein the computer executable instructions include instructions that, when executed, cause a computer system to perform operations that include confirming that a member account contains sufficient funds or other value to satisfy the margin requirement.
15 . A computer system comprising:
at least one processor; and at least one non-transitory memory, wherein the at least one non-transitory memory stores instructions that, when executed, cause the computer system to perform operations that include
accessing data describing positions in a portfolio, the portfolio positions including a position in an index credit default swap corresponding to K separate credit entities,
calculating at least one margin component based at least in part on intrinsic values of the index credit default swap at multiple times t, wherein each of the intrinsic values of the index credit default swap is represented by
Vi
(
t
)
=
∑
k
=
1
K
P
(
SN
k
,
t
)
*
w
k
,
and wherein Vi(t) is an intrinsic value of the index credit default swap at a time t, P(SN k , t) is a value at that time t for a price of a single name credit default swap corresponding to the k th credit entity of the K credit entities, and w k is a value for a weighting factor,
calculating data representing a margin requirement that is based at least in part on the at least one margin component, and
transmitting data representing the margin requirement.
16 . The computer system of claim 15 , wherein calculating the at least one margin component comprises calculating a spread risk margin component.
17 . The computer system of claim 16 , wherein calculating the spread risk margin component comprises calculating, for each of the multiple times t and based at least in part on the Vi(t) value for that time t, a value of a derived spread, and generating multiple scenarios using a model calibrated at least in part by the derived spread values.
18 . The computer system of claim 17 , wherein calculating the spread risk margin component comprises calculating an estimated value change corresponding to each of the scenarios and selecting a designated percentile value of the estimated value changes as the spread risk margin component.
19 . The computer system of claim 15 , wherein calculating the at least one margin component comprises calculating a jump-to-default component and a jump-to-health component, and wherein calculating data representing the margin requirement comprises calculating an interest charge component and a liquidity charge component.
20 . The computer system of claim 15 , wherein the computer executable instructions include instructions that, when executed, cause a computer system to perform operations that include confirming that a member account contains sufficient funds or other value to satisfy the margin requirement.Join the waitlist — get patent alerts
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